Customer Reports by orders and state

Hi all, I don't think this can done, but I would have thought it a basic function of the reports system. I want a report of customers who have spent >$500 who's (delivery) address is in a particular postcode - or even state would be fine. Or even something simpler like trying to find that order from 2 weeks ago that was sent to that particular postcode.?

Custom Reports-Customers and Orders-select criteria (incl shipping address)-Filter criteria-and voila, this where we come to a halt.

Lots of limited use fields here really....eg Country, Order owned by, .....but no state or postcode.

What is a girl to do?